Why are all the days of the week and months still Pagan Gods?

I was reading up on the origins of the modern calendar, and I find it odd that all the days of the week, and the months of the year, are all named in reference to Pagan Gods. Does anyone else find it an oddity that this survived as long as it has, and that no other religions have tried to change their names over the years. Does anyone have more info on this subject, would be appreciated.